Simulation of truncated normal variables

Christian Robert (1, 2)

1 CREST - Centre de Recherche en Économie et Statistique
2 CEREMADE - CEntre de REcherches en MAthématiques de la DEcision

We provide in this paper simulation algorithms for one-sided and two-sided truncated normal distributions. These algorithms are then used to simulate multivariate normal variables with restricted parameter space for any covariance structure.

Domaines: Calcul [stat.CO]; Méthodologie [stat.ME]

Christian Robert. Simulation of truncated normal variables. 2009. ⟨hal-00431310⟩